Senior Quantitative Analyst, Risk Analytics

Overview

This role involves proposing and developing new risk models, building risk modeling infrastructure, designing and prototyping risk metrics, and overseeing the daily production of risk reporting systems and databases. Responsibilities also include providing analytical support to Risk and Commercial functions, overseeing risk pricing methodologies, testing risk system soundness following upstream system changes, and managing Risk IT initiatives.

Responsibilities

• Propose risk metrics and build risk modeling infrastructure (including production models, automated reports, databases, and job scheduling systems)
• Design and prototype new market, credit, liquidity, and operational risk metrics
• Provide quantitative analysis and analytical support to Risk functions, commercial teams, and the finance group (including topics such as alternative commodity hedging strategy assessment, standard product risk premium pricing matrix development, price verification, hedging effectiveness testing, and financial planning)
• Own risk pricing methodologies for standard products, providing regular updates and communicating changes to the commercial team
• Work with risk functions, business owners, and IT to develop efficient risk reporting tools
• Maintain and expand risk reporting systems, analytical tools, and databases used by the Risk Management Group to measure and analyze risks associated with the company’s portfolios
• Participate in SAS system architecture design and enhancements
• Oversee production code change management
• Support Strat Plan/SPA updates
• Validate production models
• Develop and validate a risk capital framework
• Validate option pricing and volatility/correlation curves
• Participate in risk controls and monitoring activities, including assisting with their establishment
• Pricing capital costs and risk premiums for standard products

Minimum Qualifications

• Bachelor’s degree in economics, quantitative finance, mathematics, physics or equivalent quantitative disciplines
• Minimum 5 years related experience in quantitative or financial valuation role; Advanced degree in economics, quantitative finance, mathematics, physics or equivalent quantitative disciplines can be used in lieu of 2 years of experience
• Fundamental understanding of derivative products valuations, including forwards and futures contracts, options, swaptions, and exotic options
• Understanding of probability theory and applied and financial math concepts and techniques
• Substantive experience using programming languages or analytical packages commonly used in model development, such as Python, Matlab, C/C++, R, SAS, and SQL
• Ability to work independently and collaboratively, and demonstrate effective relationship-building with internal and external partners
• Proven ability to perform responsibilities under time pressure with high accuracy, prioritize multiple tasks, build consensus, and adapt to evolving business needs

Preferred Qualifications

• Databricks experience
• PhD preferred
• Prior experience in a quantitative role in the finance/energy industry
• Excellent communication, presentation, and interpersonal skills, including the ability to discuss technical subjects with a wide variety of audiences

Compensation & Benefits

• Expected salary range: $124,200 to $138,000 (varies based on experience)
• Comprehensive benefits package including bonus and 401(k)
• Bonus program (for eligible employees)
• 401(k) with company match
• Employee stock purchase program
• Comprehensive medical, dental and vision benefits, including wellbeing programs
• Disability and life insurance benefits
• Paid time off for vacation, holidays, and sick days

Location

Not specified in the provided description.